Probability Analysis: Tools for SPY Options Trading

Hover over any point on the chart to see the probability of expiring above that strike price!

Expected Move Formula

\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)

SPY Expected Move

Expiration Oct 20 (2D) Oct 21 (3D) Oct 22 (4D) Oct 23 (5D) Oct 24 (6D) Oct 27 (9D) Oct 28 (10D) Oct 29 (11D) Oct 30 (12D) Oct 31 (13D) Nov 07 (20D) Nov 14 (27D) Nov 21 (34D) Nov 28 (41D) Dec 05 (48D) Dec 12 (55D) Dec 19 (62D) Dec 26 (69D)
lower 654.17 651.874 649.937 648.231 646.689 642.711 641.538 640.423 639.357 638.335 632.073 626.841 622.253 618.118 614.324 610.798 607.489 604.363
upper 674.61 676.906 678.843 680.549 682.091 686.069 687.242 688.357 689.423 690.445 696.707 701.939 706.527 710.662 714.456 717.982 721.291 724.417
expected move 10.22 12.516 14.453 16.159 17.701 21.679 22.852 23.967 25.033 26.055 32.317 37.549 42.137 46.272 50.066 53.592 56.901 60.027
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
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